Futures have pushed higher to 4380 which places the SPX near its 4400 Call Wall resistance line. Our gamma index is flat overnight, which implies another tight trading range of 71bps/31pts. For today we detect large support at 4382 and 4350.
Below is a chart of gamma by strike, and you can see how prominent the positions are at 4400, and 4350. At this time it does not appear there is much in the way of positions overhead, and so we do not see the Call Wall shifting higher at this time. Our models look for this level to shift higher in order to confirm higher prices for the S&P.
This overhead resistance is shown in the vanna models, too. You can see below that there was a right skew to markets, which implied dealers buying as the market shifted higher, selling if markets shifted lower. In contrast, todays model output shows the opposite skew. This indicates dealers will be selling into resistance above and buying on declines (not there is a vanna video FAQ at the bottom of this page).
4400 top of the range, 4330 critical support for August OPEX.
|SpotGamma Proprietary Levels||Latest Data||Previous||SPY||NDX||QQQ|
|SpotGamma Imp. 1 Day Move:||0.71%,||31.0 pts||Range: 4342.0 | 4404.0|
|SpotGamma Imp. 5 Day Move:||4303||2.02%||Range: 4217.0 | 4390.0|
|SpotGamma Gamma Index™:||1.03||1.04||0.13||0.03||0.04|
|SpotGamma Absolute Gamma Strike:||4350||4350||435||14450||360|
|Additional Key Levels||Latest Data||Previous||SPY||NDX||QQQ|
|Zero Gamma Level:||4339||4334||0||0||0|
|Put Wall Support:||4200||4100||430||13000||355|
|Call Wall Strike:||4400||4400||440||14775||366|
|CP Gam Tilt:||1.3||1.25||1.1||1.45||1.05|
|Delta Neutral Px:||4191|
|25D Risk Reversal||-0.06||-0.06||-0.07||-0.06||-0.06|
|Top Absolute Gamma Strikes:|
|SPX: [4400, 4375, 4350, 4300]|
|SPY: [440, 436, 435, 433]|
|QQQ: [365, 363, 362, 360]|
|NDX:[15000, 14775, 14450, 14000]|
|SPX Combo: [4404.0, 4430.0, 4417.0, 4400.0, 4382.0]|
|NDX Combo: [15073.0, 14818.0, 15237.0, 15028.0, 14863.0]|
|©TenTen Capital LLC d.b.a. SpotGamma|
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